逆周期資本監管與金融穩定
陳守東;張丁育;
摘要(Abstract)：
《巴塞爾協議Ⅲ》規定了商業銀行逆周期監管資本的提取,鼓勵銀行在經濟環境好的時候增加資本儲備,以限制金融系統的順周期性及抑制銀行危機的擴散。通過LT-TVP-VAR模型分析2005年第1季度至2015年第1季度期間逆周期監管資本對金融穩定的影響作用,并比較逆周期資本監管實施前后監管資本對金融穩定的影響。研究結果表明,在整個樣本期間時變的監管資本對金融穩定的總體影響為負向,但2013年實施逆周期資本監管后該消極影響減弱,說明逆周期資本監管機制有助于保持金融穩定。
關鍵詞(KeyWords)： 逆周期資本監管;巴塞爾協議Ⅲ;金融穩定;LT-TVP-VAR模型
基金項目(Foundation): 國家社會科學基金項目(12BJY158);; 教育部人文社會科學重點研究基地重大項目(14JJD790043)
作者(Author): 陳守東;張丁育;
Email:
DOI: 10.15939/j.jujsse.2016.03.005
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